adaptMCMC

swMATH20727CRANadaptMCMCMaRDI QIDQ32544FDOQ32544

Implementation of a Generic Adaptive Monte Carlo Markov Chain Sampler

Andreas Scheidegger

Last update: 29 January 2024

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.4, 1.0.2, 1.0.3, 1.0, 1.1, 1.2, 1.3, 1.5

Official website: https://cran.r-project.org/web/packages/adaptMCMC/index.html

Source code repository: https://github.com/cran/adaptMCMC

Description

Enables sampling from arbitrary distributions if the log density is known up to a constant; a common situation in the context of Bayesian inference. The implemented sampling algorithm was proposed by Vihola (2012) <doi:10.1007/s11222-011-9269-5> and achieves often a high efficiency by tuning the proposal distributions to a user defined acceptance rate.

Cites work

• Robust adaptive Metropolis algorithm with coerced acceptance rate

Cited In (23)

• Population Quasi-Monte Carlo
• MCMC diagnostics for higher dimensions using Kullback Leibler divergence
• Automatically tuned general-purpose MCMC via new adaptive diagnostics
• BGX
• Grapham
• HybridMC
• BEAGLE
• mcmc
• minimaxdesign
• ramcmc
• GEIGER
• selectiveInference
• mvMORPH
• atmcmc
• R2Cuba
• PCMBase
• Rphylopars
• fmcmc
• apTreeshape
• EpiILM
• EpiILMCT
• SPLITT
• ConsReg

This page was built for software: adaptMCMC